IMHO the sgian dubh in this day and age is a dress ornament or accessory, I wear mine most of the time when dressed in full highland dress and have never experienced any problems because of it. I have wondered at times what would happen if you were pulled over for speeding or or another traffic offense while dressed in full highland regalia. I've also wondered if a sporran flask with some single malt in it could create problems for you because of the open container laws.

Being a law abiding fellow, I tend to err on the side of caution.